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| dc.contributor.author | Li, Xiafei | |
| dc.contributor.author | Miffre, Joëlle | |
| dc.contributor.author | Brooks, Chris | |
| dc.contributor.author | O'Sullivan, Niall | |
| dc.date.accessioned | 2013-11-29T14:41:21Z | |
| dc.date.available | 2013-11-29T14:41:21Z | |
| dc.date.issued | 2008-04 | |
| dc.identifier.citation | LI, X., MIFFRE, J., BROOKS, C. & O’SULLIVAN, N. 2008. Momentum profits and time-varying unsystematic risk. Journal of Banking & Finance, 32, 541-558. doi: http://dx.doi.org/10.1016/j.jbankfin.2007.03.014 | en |
| dc.identifier.volume | 32 | en |
| dc.identifier.issued | 4 | en |
| dc.identifier.startpage | 541 | en |
| dc.identifier.endpage | 558 | en |
| dc.identifier.issn | 0378-4266 | |
| dc.identifier.uri | http://hdl.handle.net/10468/1271 | |
| dc.identifier.doi | 10.1016/j.jbankfin.2007.03.014 | |
| dc.description.abstract | This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners. | en |
| dc.format.mimetype | application/pdf | en |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.relation.uri | http://www.sciencedirect.com/science/article/pii/S0378426607001872 | |
| dc.rights | Copyright © 2007 Elsevier B.V. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance [Volume 32, Issue 4, April 2008, Pages 541–558] http://dx.doi.org/10.1016/j.jbankfin.2007.03.014 | en |
| dc.subject | Momentum profits | en |
| dc.subject | Unsystematic risk | en |
| dc.subject | GJR-GARCH(1,1)-M model | en |
| dc.title | Momentum profits and time-varying unsystematic risk | en |
| dc.type | Article (peer-reviewed) | en |
| dc.internal.authorcontactother | Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie | en |
| dc.internal.availability | Full text available | en |
| dc.date.updated | 2013-07-02T15:42:19Z | |
| dc.description.version | Accepted Version | en |
| dc.internal.rssid | 19164049 | |
| dc.description.status | Peer reviewed | en |
| dc.identifier.journaltitle | Journal of Banking and Finance | en |
| dc.internal.copyrightchecked | No I did receive permission to place this on SSRN. CORA - Checked ROMEO. Accepted Version permitted. | en |
| dc.internal.licenseacceptance | Yes | en |
| dc.internal.IRISemailaddress | niall.osullivan@ucc.ie | en |
